Unless you have an extremely dry skin, it's vital to set the makeup you've put so much effort in applying--after all, it does ensure the longevity of your makeup for at least a few extra hours.
Personally, I prefer lightweight, translucent powders to set my foundation and concealer. So, I've put together a list of a few of my favorite powders that are worth mentioning in this post:

This translucent powder gives a natural matte finish and sets the makeup beautifully. It's a perfect size to keep in your purse for touch-ups during the day since it has a mirror on the side(mine, sadly, fell off). In terms of texture, it's silky, lightweight and feels extremely soft on the skin. Unlike some powders that can make skin looking flat and chalky, it leave skin looking radiant but shine-free at the same time. 

It's a budget-friendly alternative to a bit more expensive powders mentioned in this post. It's a lightweight translucent powder that sets your makeup fairly well. It won't alter the finish or color of your foundation which I love. 
Mac Mineralize Skinfinish Natural
It's a baked mineral powder that you can use to set your makeup, or when applied using a denser brush it can provide a little bit more coverage. You can't over-do with this powder--it'll always look natural, dewey and undetectable on the skin. Moreover, it will never cling to dry patches which is very important if you have dry skin; that being said, this powder doesn't control shine throughout the day.

Hourglass Ambient Lighting Powder in Dim Light
I use this product after setting with a powder, but I thought I'd include it anyway since I love it so much. This  neutral soft beige powder gives a luminous, 'lit-from-within' kind of subtle glow to your face. It's so finely-milled that it won't ever end-up looking too powdery-- I promise. I like to dust it over the cheekbones, under the eyes,  across the forehead, and the bridge of the nose. Plus, it visibly blurs the appearance of pores and fine lines. If you're willing to splurge on illuminating finishing powder, you won't be disappointed with this one.

To control shine throughout the day, I'd highly recommend using blotting papers instead of consistently reapplying powder on top of excess oil. First, blot away the oil and then touch-up using a powder.